In this paper, we propose a direct construction of a novel type of code set, which has combined properties of complete complementary code (CCC) and zero-correlation zone (ZCZ) sequences and called it complete complementary-ZCZ (CC-ZCZ) code set. The code set is constructed by using multivariable functions. The proposed construction also provides Golay-ZCZ codes with new lengths, i.e., prime-power lengths. The proposed Golay-ZCZ codes are optimal and asymptotically optimal for binary and non-binary cases, respectively, by \emph{Tang-Fan-Matsufuzi} bound. Furthermore, the proposed direct construction provides novel ZCZ sequences of length $p^k$, where $k$ is an integer $\geq 2$. We establish a relationship between the proposed CC-ZCZ code set and the first-order generalized Reed-Muller (GRM) code, and proved that both have the same Hamming distance. We also counted the number of CC-ZCZ code set in first-order GRM codes. The column sequence peak-to-mean envelope power ratio (PMEPR) of the proposed CC-ZCZ construction is derived and compared with existing works. The proposed construction is also deduced to Golay-ZCZ and ZCZ sequences which are compared to the existing work. The proposed construction generalizes many of the existing work.